Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0147 |
| Annualized Std Dev | 0.1371 |
| Annualized Sharpe (Rf=0%) | -0.1070 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5568.0000 |
| NAs | 1.0000 |
| Minimum | -0.1596 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0037 |
| Maximum | 0.1007 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0086 |
| Skewness | -1.2196 |
| Kurtosis | 41.5028 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0064 |
| Gain Deviation | 0.0064 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.6053 |
| Historical VaR (95%) | -0.0111 |
| Historical ES (95%) | -0.0204 |
| Modified VaR (95%) | -0.0097 |
| Modified ES (95%) | -0.0097 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-25 | 2008-12-15 | NA | -0.6053 | 4276 | 1190 | NA |
| 1999-01-05 | 1999-12-28 | 2004-01-15 | -0.2246 | 1246 | 244 | 1002 |
| 2004-01-20 | 2004-02-11 | 2004-02-20 | -0.0306 | 23 | 17 | 6 |
| 2004-03-11 | 2004-03-12 | 2004-03-23 | -0.0190 | 9 | 2 | 7 |
| 2004-03-03 | 2004-03-04 | 2004-03-10 | -0.0159 | 6 | 2 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.4 | -0.4 | 0 | 0 | 0.4 | 0.4 | -1.1 | 0.4 | 0.4 | 0.8 | -1.3 | 1.8 | 1.8 |
| 2000 | 0.4 | 0 | 0.9 | 0.8 | 0.8 | 0.4 | 0 | 1.2 | 0 | 1.2 | 0.8 | 1.2 | 8.1 |
| 2001 | 0.6 | 0 | 0.6 | 0.6 | 0.4 | 0.2 | -0.1 | 0.2 | 1.2 | 0.8 | -0.1 | 0.5 | 5 |
| 2002 | 0.4 | 0.2 | 0.5 | 0.9 | -0.7 | -0.1 | 1.1 | 0.2 | -0.3 | 1.3 | 0.1 | 1.1 | 4.9 |
| 2003 | -0.2 | 0.3 | 0.1 | -0.4 | -0.8 | 1.1 | 0.4 | 0.2 | 0.2 | 0.6 | 0.2 | -0.3 | 1.4 |
| 2004 | -0.5 | 0.6 | -0.5 | 0.3 | 0.4 | 0.5 | 0.7 | 0.4 | 0.1 | 0.3 | 0.1 | -0.1 | 2.3 |
| 2005 | 0.6 | 0.3 | 0 | 0.5 | 0.3 | 0.1 | 0.2 | 0.6 | 0.4 | -1.2 | -0.5 | 0.5 | 1.7 |
| 2006 | 0.3 | -0.3 | 0.1 | -0.5 | 0.3 | 1 | 0 | 0 | 0.1 | 0.4 | 0.8 | 1.1 | 3.3 |
| 2007 | 0.5 | -0.6 | 0.3 | -0.1 | 0.2 | 0.3 | -0.1 | 0.6 | 1.1 | -0.1 | 1.7 | 0.6 | 4.4 |
| 2008 | 0.2 | -2.1 | 0.1 | 0 | 0 | 0.6 | 0.5 | 0.1 | 3.5 | -0.6 | -4.5 | -0.3 | -2.6 |
| 2009 | 1.4 | 0.6 | 0.1 | 0.7 | 0 | 0.8 | -0.2 | 0.1 | 0.1 | 0.7 | 0.1 | 1.1 | 5.6 |
| 2010 | -0.1 | 0.8 | 1.1 | -0.2 | 0.5 | 0.2 | -0.9 | 0 | -0.3 | 0 | -0.8 | 0.8 | 1.3 |
| 2011 | 0.1 | 0.7 | -0.2 | 0.7 | 0.2 | 0.4 | 1.7 | 1.5 | 0.3 | 0.3 | 0 | -0.5 | 5.3 |
| 2012 | 0.8 | 0 | 0.4 | -0.1 | -0.3 | 0.2 | 0.8 | 0 | -0.1 | 0.6 | 0.2 | 0.1 | 2.6 |
| 2013 | 0.5 | 0 | 0.1 | -0.2 | -2.3 | 0.3 | 0 | -0.7 | 0.1 | -0.9 | -0.6 | -0.7 | -4.4 |
| 2014 | 0.7 | -0.3 | -0.1 | 0.4 | 0 | -0.2 | 0.5 | 0.7 | 0.9 | 0.1 | -0.3 | 0.4 | 2.7 |
| 2015 | 0.6 | -0.2 | 0.2 | -0.7 | 0.3 | 0 | 0.8 | 0.4 | 0.1 | -0.3 | 1 | 0.7 | 2.9 |
| 2016 | 1.8 | -0.5 | -0.1 | -0.1 | 1 | 0.5 | -0.4 | -0.3 | -0.6 | 0.1 | -0.4 | 0 | 1 |
| 2017 | 0.1 | -0.3 | -0.3 | 0.3 | 0.6 | 0.3 | 0.8 | 0 | 0 | 0.3 | 0 | 0.7 | 2.5 |
| 2018 | 0.1 | 0.1 | 0.1 | 0.4 | 0.4 | -0.3 | -0.5 | 0.2 | -0.2 | 0.2 | 0.5 | 0.3 | 1.3 |
| 2019 | -0.1 | 0.4 | 0.6 | 0.2 | 0.2 | -0.7 | 1 | -0.2 | 0.1 | -0.1 | 0.1 | 0.1 | 1.7 |
| 2020 | -0.7 | -0.9 | -4.1 | 0.6 | -0.2 | 0 | 0 | 0.2 | 0.4 | 0.2 | -0.4 | 1.3 | -3.7 |
| 2021 | -0.3 | 0.8 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
